EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: March 25, 2016

There’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

Hedge Funds

  • Long-term hedge fund returns have been in steady decline for a while now (bloomberg)
  • Hedge fund AUM fell in February as new investment failed to offset negative returns (hedgeweek)
  • Citadel is struggling this year (finalternatives)

Factor Investing

  • It’s not very easy trying to time factor premiums (etf)
  • Construction methodology matters when building multi-factor portfolios (thinknewfound)
  • Why investors should combine value and momentum (alphaarchitect)


  • The odds of a market crash are probably a lot lower than you think (wsj)
  • Mutual fund herding appears to drive trading losses (etf)
  • Strategy diversification can be as important as asset allocation (etftrends)
  • Concentrated bets can cut both ways (awealthofcommonsense)
  • It can take a long time for a manager’s alpha to become statistically significant (gestaltu)
  • Understanding the differences between the VIX and the new SPYVIX (onlyvix)


  • A practical guide to principal component analysis (PCA) in R and Python (analyticsvidhya)
  • Does a Laplace distribution better fit non-normal financial returns? (sixfigureinvesting)
  • Free resources to learn machine learning for trading (quantinsti)


  • Using shrinkage techniques usually improves correlation estimates (ssrn)
  • Analyzing trends using the Kalman Filter (ssrn)
  • Risk premia in energy futures markets (ssrn)

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